Hmmm. "Needful."
If you're on a budget, I'd recommend the DM Screen (the attached book has the information on the player races, and a couple of adventures) and the Scarred Lands Gazetteer. You can get by with just those; together that's player races, an overview of the most significant continent and the nations therein, and the gods themselves. Less than twenty bucks, and you'll be well on your way.
The next tier up includes Relics & Rituals, Creature Collection I (as noted, being revised) and Scarred Lands Campaign Setting: Ghelspad. R&R and CCI are both good for introducing several of the new ideas of the setting, and the most common monsters/spells used that are setting-specific. SCLS: Ghelspad is definitely worthwhile if you have the cash; it goes into tons of detail on each country or city-state, as well as major areas of wilderness and suchlike. That would provide you with all the ideas you'd need to stat out an entire campaign. This is the slightly more expensive package, of course.
If you go beyond that into more "luxury" purchases, then definitely start looking at things like the Creature Collection II, Relics & Rituals II, Divine & Defeated, or one of the regional sourcebooks (Mithril: City of the Golem, Hollowfaust: City of Necromancers, Burok Torn: City Under Siege, and the forthcoming Calastia supplement). If you want villainous (and some heroic) organizations, go for Secrets & Societies; if you need powerful villains or heroes to oppose/aid the heroes, go for The Wise & The Wicked. And if you want more adventures or adventure hooks, there's Serpent in the Fold or Wilderness & Wasteland. By this point, you should probably have a good idea of what sort of things you'd like to purchase and what you're more likely to work out on your own, so you can decide what suits you best.
That's the order I'd look at making your purchases; decide just what's most important to you (adventures, region books, crunchy bits), and how much you're willing to spend for your initial purchases. The rest should fall into place.
(And I do recommend Hollowfaust, but I am exceptionally biased.)